State and Control Path-Dependent Stochastic Optimal Control With Jumps

DOI10.1109/tac.2022.3161381OpenAlexW4220733227MaRDI QIDQ6075998

Jun-Hee Moon

Publication date: 21 September 2023

Published in: IEEE Transactions on Automatic Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1109/tac.2022.3161381

zbMATH Keywords

verification theoremstochastic control with delayfunctional Itô formula for jump diffusionsintegro-type path-dependent Hamilton-Jacobi-Bellman (PHJB) equationstochastic control for jump diffusions

Mathematics Subject Classification ID

Systems theory; control (93-XX)

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